Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/103743
Title: On preliminary test and shrinkage estimation in linear models with long-memory errors
Authors: Mukherjee, K. 
Keywords: Contiguous alternatives
Long-memory model
Preliminary test estimation
Shrinkage estimation
Issue Date: 15-Jun-1998
Citation: Mukherjee, K. (1998-06-15). On preliminary test and shrinkage estimation in linear models with long-memory errors. Journal of Statistical Planning and Inference 69 (2) : 319-328. ScholarBank@NUS Repository.
Abstract: This paper discusses the problem of estimating a subset of parameters when the complementary subset is possibly redundant, in a linear regression model when the errors are generated from a long-memory process. Such a model arises due to the overmodelling of a situation involving long-memory data. Along with the classical least-squares estimator and restricted least-squares estimator, preliminary test least-squares estimator and shrinkage least-squares estimator are investigated in an asymptotic set-up and their relative performances are studied under contiguous alternatives. The contiguous alternatives under such dependence are fundamentally different from those under the independent errors case, © 1998 Elsevier Science B.V. All rights reserved.
Source Title: Journal of Statistical Planning and Inference
URI: http://scholarbank.nus.edu.sg/handle/10635/103743
ISSN: 03783758
Appears in Collections:Staff Publications

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